Recently there have been some questions on the matter.
The most common reason appears to be the location of the shapefiles themselves. They should be placed in a new folder in your project under Bin/Debug/Web, and named "ShapeFile" ! This is actually explained in the online documentation: http://help.infragistics.com/NetAdvantage/LightSwitch/2012.1/CLR4.0?page=Map_Binding_Infragistics_Map_with_a_Shape_File.html step 4.